Numeri Capital : NUMERI Intraday

Year-to-Date
0.46%
Sep Performance
0.03%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
4.91%
Sharpe (RFR=1%)
-0.10
CAROR
0.40%
Assets
$ 11.0M
Worst DD
-8.09
S&P Correlation
0.05

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2017
NUMERI Intraday 0.03 -0.04 -0.46 -6.33 - - - 1.10
S&P 500 1.72 1.19 18.74 2.15 - - - 29.29
+/- S&P 500 -1.69 -1.23 -19.19 -8.48 - - - -28.19

Strategy Description

Summary

The mission of NUMERI Capital Management is to help our clients both protect and grow their wealth. We do so through the application of a sophisticated, automated, intraday investment program that has been developed and refined over the past 10 years at NUMERI’s parent... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
1.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$4.80
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
4%
Targeted Worst DD
-7.50%
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
33.00%
Momentum
33.00%
Pattern Recognition
34.00%
Strategy Pie Chart

Composition

Stock Indices
80.00%
Interest Rates
20.00%
Composition Pie Chart

Summary

The mission of NUMERI Capital Management is to help our clients both protect and grow their wealth. We do so through the application of a sophisticated, automated, intraday investment program that has been developed and refined over the past 10 years at NUMERI’s parent company, InvestiQuant (a venture-backed fintech company founded in 2008). The program trades tax-efficient futures markets utilizing proprietary technology and algorithms designed to continuously adapt to prevailing market conditions and their own performance. The program is executed systematically, with rigorous risk management and oversight by experienced traders. Our objective is to provide qualified investors with long term capital appreciation, significant out-performance during turbulent equity markets, and smoother, more stable investment portfolio returns year over year.

Investment Strategy

NUMERI Intraday utilizes proprietary intraday forecasting techniques, sophisticated execution software, and three separate methodologies to monitor real-time market activity and execute intraday trades based on robust quantitative analysis of historically similar situations. Each trade signal is derived from the inputs of multiple factors that attempt to adapt to the current market conditions. All strategies are engineered to be closed intraday per pre-defined exit rules, or the end of the regular session for each market.

Risk Management

To ensure that risk remains balanced and appropriate, a daily risk budget is allocated and managed at the instrument, strategy, method, and portfolio levels.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-8.09 15 - 4/1/2018 7/1/2019
-1.40 3 2 1/1/2017 4/1/2017
-0.57 1 4 6/1/2017 7/1/2017
-0.43 1 2 11/1/2017 12/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
9.01 4 1/1/2018 4/1/2018
1.79 2 5/1/2017 6/1/2017
1.10 1 9/1/2018 9/1/2018
0.92 2 10/1/2017 11/1/2017
0.59 2 1/1/2019 2/1/2019
0.45 2 8/1/2019 9/1/2019
0.42 1 6/1/2019 6/1/2019
0.23 1 8/1/2017 8/1/2017
0.22 1 6/1/2018 6/1/2018
0.01 1 1/1/2017 1/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.90 3 10/1/2018 12/1/2018
-1.57 1 5/1/2018 5/1/2018
-1.41 3 3/1/2019 5/1/2019
-1.40 3 2/1/2017 4/1/2017
-1.18 2 7/1/2018 8/1/2018
-0.57 1 7/1/2017 7/1/2017
-0.49 1 7/1/2019 7/1/2019
-0.43 1 12/1/2017 12/1/2017
-0.05 1 9/1/2017 9/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable51.5248.3953.5763.6475.00
Average Period Return0.040.150.441.122.39
Average Gain0.851.973.415.064.01
Average Loss-0.82-1.56-2.99-5.76-2.47
Best Period4.888.799.3111.069.02
Worst Period-4.75-5.90-6.12-7.40-5.42
Standard Deviation1.422.814.326.124.12
Gain Standard Deviation1.202.573.263.693.09
Loss Standard Deviation1.101.782.421.322.78
Sharpe Ratio (1%)-0.03-0.04-0.010.020.21
Average Gain / Average Loss1.041.271.140.881.62
Profit / Loss Ratio1.111.191.321.544.87
Downside Deviation (10%)1.142.384.146.846.54
Downside Deviation (5%)0.971.802.864.152.33
Downside Deviation (0%)0.941.672.583.561.72
Sortino Ratio (10%)-0.32-0.45-0.49-0.57-0.80
Sortino Ratio (5%)-0.04-0.06-0.020.030.38
Sortino Ratio (0%)0.050.090.170.321.39

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.